German winger Patrick Ebert got the ball rolling by scoring an impressive goal from distance after half an hour and then Javi Guerra doubled the lead before half-time.
Any hope the hosts had of a second-half comeback swiftly vanished when Dani Larsson made it 3-0 on 48 minutes.
The Madrid side dominated the ball but were unable to create many chances, while Juan Ignacio Martino's men were ruthless whenever they got a sniff of an opening.
It was the visitors who created the first chance, Manucho getting on the end of a cross from Ebert to force goalkeeper Ruben to dive and parry the ball away.
On the half-hour mark, Valladolid took the lead. Ebert controlled a ball upfield 30 yards out and then caught Rayo by surprise by unleashing a left-footed drive that swung into the opposite corner.
Valladolid's next attack also lead to a goal. Guerra picked the ball up on the right-hand side and made his way into the box unchallenged before coolly slotting into the bottom corner.
The visitors got the third just moments after the start of the second half. Rayo persisted with their high defensive line and were caught out again as a long ball over the top set Larsson free and the Swede calmly rounded the advancing Ruben to slot into an empty net.
Roberto Trashorras had Rayo's best attempt of the second half, trying to catch Diego Marino out with a lob, but the goalkeeper managed to get back to tip the ball over the bar.
The win means Vallodolid temporarily move up to joint 11th in the Primera Division, while Rayo could find themselves back in the relegation zone by the end of the weekend if results go against them.